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Phase II monitoring of auto-correlated linear profiles using linear mixed model

Narvand, A.; Soleimani, P.; Raissi, Sadigh - In: Journal of industrial engineering international 9 (2013), pp. 1-9

mixed models to account autocorrelation within observations which is gathered on phase II of the monitoring process. We …

Persistent link: https://www.econbiz.de/10009782421

COVID-19 pandemic and Romanian stock market volatility : a GARCH approach

Gherghina, Ștefan Cristian; Armeanu, Daniel Ștefan; … - In: Journal of risk and financial management : JRFM 14 (2021) 8, pp. 1-29

This paper investigates the volatility of daily returns on the Romanian stock market between January 2020 and April 2021. Volatility is analyzed by means of the representative index for Bucharest Stock Exchange (BSE), namely, the Bucharest Exchange Trading (BET) index, along with twelve...

Persistent link: https://www.econbiz.de/10012626337

Estimation of value-at-Risk on Romanian stock exchange using volatility forecasting models

Opreana, Claudiu Ilie - In: Expert journal of finance 1 (2013), pp. 4-18

Persistent link: https://www.econbiz.de/10011572395

Comparative study on the use of statistical methods for the distribution of autocorrelation to any influence factor

Merce, Cristian; Drăghici, Manea; Merce, Emilian; … - In: Agrarian economy and rural development : realities and …, (pp. 58-63). 2019

based on the principle of proportional distribution of autocorrelation with the coefficients of simple determination, and …

Persistent link: https://www.econbiz.de/10012212443

ARFURIMA models: simulations of their properties and application

Jibrin, Sanusi Alhaji; Rahman, Rosmanjawati Abdul - In: Statistics in transition : an international journal of … 23 (2022) 2, pp. 69-87

This article defines the Autoregressive Fractional Unit Root Integrated Moving Average (ARFURIMA) model for modelling ILM time series with fractional difference value in the interval of 1൏𝑑൏2. The performance of the ARFURIMA model is examined through a Monte Carlo simulation. Also, some...

Persistent link: https://www.econbiz.de/10013419429